The Gerber-Shiu function and the generalized Cramér-Lundberg model
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Publication:426292
DOI10.1016/j.amc.2011.05.028zbMath1239.91081OpenAlexW2014726807MaRDI QIDQ426292
Hristo S. Sendov, Kristina P. Sendova, Chantal Labbé
Publication date: 11 June 2012
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.05.028
defective renewal equationexpected discounted penalty functionErlang \((n, \beta )\) annuity-related income distributionLaplace transform of the time to ruinprobability of ruintwo-sided jumps
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Related Items (10)
On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A hyper-exponential jump-diffusion model under the barrier dividend strategy ⋮ The expected discounted penalty function under a renewal risk model with stochastic income ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ On a class of stochastic models with two-sided jumps ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier
Cites Work
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- On a generalization of the Gerber-Shiu function to path-dependent penalties
- On ruin for the Erlang \((n)\) risk process
- On the discounted penalty function in the renewal risk model with general interclaim times
- The expected discounted penalty function under a risk model with stochastic income
- Risk process with random income
- Analysis of a defective renewal equation arising in ruin theory
- Lundberg inequalities for renewal equations
- A Direct Approach to the Discounted Penalty Function
- Matrix Analysis
- Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift
- On the Continuous Dependence of the Roots of a Polynomial on its Coefficients
- Stochastic Life Annuities
- A Note on Negative Customers, GI/G/1 Workload, and Risk Processes
- On the Time Value of Ruin
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